source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 199 daily returns (full history), annualized at 252/yr. Click any metric for its methodology.
Volatility & risk-adjusted return
vs S&P 500 · monthly, same window (10 months)
Only 10 paired monthly returns in this window (needs ≥ 12) — beta, correlation and capture are suppressed rather than estimated from too few points.
Trailing returns · total return (incl. dividends)
Volatility (annualized %, right) and Sharpe (ratio, left), each over a trailing 63-period window from quantlib.performance.rolling.
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|
| VaR | -1.42% | -2.40% | -1.42% | -2.00% |
| CVaR (ES) | -1.90% | -2.61% | -1.78% | -2.29% |
| VaR (Cornish-Fisher) | — | — | -1.33% | -2.21% |
Signed daily quantiles (a 5% loss is −5%); CVaR ≤ VaR ≤ 0. The Cornish-Fisher row adjusts the Gaussian VaR for skewness and excess kurtosis (fat tails), so it has no historical counterpart.
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|
| -7.50% | 2026-05-22 | 2026-07-28 | ongoing | 34 | — |
| -5.76% | 2025-10-24 | 2026-02-05 | 2026-04-14 | 70 | 46 |
| -2.24% | 2026-04-17 | 2026-04-30 | 2026-05-14 | 9 | 10 |
| -2.07% | 2025-09-30 | 2025-10-14 | 2025-10-21 | 10 | 5 |
| -1.03% | 2026-05-14 | 2026-05-19 | 2026-05-22 | 3 | 3 |
| -0.85% | 2025-09-25 | 2025-09-26 | 2025-09-30 | 1 | 2 |
| -0.42% | 2025-10-22 | 2025-10-23 | 2025-10-24 | 1 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 7). Lengths are in trading periods; an ongoing episode has not yet reclaimed its prior peak. The deepest episode equals the maximum drawdown above.
Notes
- benchmark: only 10 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
